A link is a link. How it opens depends on what you do in what program (what reader). But you don't tell what reader (Adobe, Foxit, Nitro) you're using to view the pdf-file.
That's the same as in a browser. A link is a link. A middle click opens it in a new tab. A left click opens it in the same tab. A right click opens a menu letting me choose how to open it.
Such a thing might be a nice feature in a pdf-reader also. If the reader of your choice doesn't offer it, why not suggest this as a new feature to the maker?
I have created Links (opening a particular linked Page/ view from the same pdf file) in a pdf file. When I click the link, the linked page/view opens in the main window itself. Is it possible to open the linked page/view in a new window?